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37 Commits (e36516f76699d9df18344df92f73d62ca681538a)

Author SHA1 Message Date
Stéphane Adjemian (Charybdis) 268095276c Factorized code using ispd routine. 2013-06-20 12:59:01 +02:00
Michel Juillard d60202616a fixed problem with penalty in estimation. Created a new global scalar: 
objective_function_penalty_base. It is the only simple way that I
found to keep csminwel1.m to be able to handle general functions.
 2012-08-28 12:17:07 +02:00
Michel Juillard a400305f20 updating list of info codes returned by dynare_resolve() in DsgeVarLikelihood 2012-08-06 12:02:35 +02:00
Michel Juillard 6b3bd9dd0b penalty is now passed as a field of bayestopt_ (or BayesInfo) 2012-08-02 22:23:29 +02:00
Sébastien Villemot 1f9cea669a Update copyright notices 2012-06-08 18:22:34 +02:00
Michel Juillard d601f173d8 fixing bugs related to recent changes for analytic derivatives 
in estimation
 2012-04-30 13:35:36 +02:00
Marco Ratto da9ec0f187 Estimation with analytic scores and hessian; 
This includes re-setting the list of output arguments in objective functions
Added test function
 2012-04-29 21:18:33 +02:00
Stéphane Adjemian (Charybdis) e0fa737cee Fixed bug in dynare_resolve (wrong calling sequence introduced in commit #013c599ec92f7d6e5fc3f351a58d9aa5ba401410). 
Removed globals from DsgeVarLikelihood and changed the calling sequence. As in DsgeLikelihood, the penalty is now a
persistent variable.

Added a global structure for the data: dataset_.

Removed globals from dsgevar_posterior_density and mode_check.

Simplification of the clode, definition of the variable objective_function at the top of dynare_estimation_1 (equal
to 'DsgeLikelihood' or 'DsgeVarLikelihood').
 2011-09-22 11:17:31 +02:00
Stéphane Adjemian (Scylla) 013c599ec9 Removed globals from dynare_resolve. Removed unused first input argument. Adapted routines calling dynare_resolve. 
Added texinfo header to dynare_resolve.
 2011-09-19 16:41:53 +02:00
Michel Juillard 50c085e5a3 using isequal while testing options_.mode_compute 2011-07-24 23:00:32 +02:00
Houtan Bastani 43479f6ef3 use short-circuit ops (|| and &&) as opposed to (| and &) to avoid warnings in Octave (and save time) 2011-02-10 15:54:23 +01:00
Sébastien Villemot 02652f6eb8 Updated copyright notices 2011-02-04 17:27:33 +01:00
Michel Juillard bff8de837b modifying dynare_resolve() calling sequence 2011-01-26 21:24:46 +01:00
Stéphane Adjemian (Scylla) 3aaccc59e3 Changes related to the new interface for the dsge-var models. 2010-06-24 12:53:10 +02:00
sebastien 1be52aaa5f Beautification: removed tabulation characters which were left in previous beautification pass 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3300 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-05 10:46:10 +00:00
sebastien 502e3e1df8 Beautified MATLAB code (Unix newline convention + Emacs indentation), except: AIM, swz, particle 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3250 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-12-16 17:17:34 +00:00
stepan ec4b45cc7c Bug correction (condition info==19 was not used in DsgeLikelihood and DsgeVarLikelihood). 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2667 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-05-12 11:38:06 +00:00
stepan aa31417a05 Efficiency & Cosmetic changes related to the design of bayestopt_ and 
the computation of the prior density.

bayestopt_.p1 is always the prior mean
bayestopt_.p2 is always the prior standard deviation
bayestopt_.p3 is unchanged
bayestopt_.p4 is unchanged
bayestopt_.p5 [new field] is the prior mode
bayestopt_.p6 [new field] is the first hyper-parameter of the prior density
bayestopt_.p7 [new field] is the second hyper-parameter of the prior density
 
These fields are defined in  set_prior and are never changed after. In
the previous version of Dynare,  the hyper parameters of the densities
were  updated at  each iteration  of the  optimization routine  or the
metropolis.

Removed fields pmean and pstdev.

Vectorized the code in priordens.

Fixed the bug mentionned by Gianni. If a (logged) density is evaluated
outside the  prior domain, the  output of priordens if  minus infinity
(instead of a complex number).


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2556 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-04-06 14:38:37 +00:00
stepan ba080ab910 v4.1:: Changes related to lyapunov_symm. 
+ Fixed a bug introduced in the previous commit.
+ Added a threshold parameter for the complex blocks in the upper
triangular matrix T in lyapunov_symm.m (new field in options_)
+ Cosmetic changes.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2414 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-02-12 14:16:10 +00:00
sebastien 9f5beff89e v4 matlab: fixed remaining copyright headers (those files which are in the CR+LF endline convention) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1975 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-08-01 13:08:13 +00:00
adjemian 7f927eff00 Changed penalties. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1934 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-07-07 12:31:51 +00:00
adjemian 341adad2e9 Added new functions for posterior distribution processing (second order moments) + Removed global variables. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1890 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-06-21 08:33:31 +00:00
adjemian be833e1e03 Bug correction. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1746 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-03-27 09:19:38 +00:00
adjemian 2aaf214c09 Correction of bug in the definition of the dsge-var prior. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1744 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-03-18 10:28:53 +00:00
adjemian ea1f4abaed Added a function returning the prior and posterior densities of a dsge-var model, given the deep parameters and the dsge_prior_weight parameter. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1740 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-03-10 16:08:02 +00:00
assia a7cb948e69 header updated 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1728 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-03-03 10:26:09 +00:00
adjemian 3eea736e30 Corrected bug related to the constant in bvar-dsge. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1484 ac1d8469-bf42-47a9-8791-bf33cf982152
 2007-12-07 16:31:15 +00:00
adjemian c14493361b Added estimation of bvar-dsge models with constant. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1441 ac1d8469-bf42-47a9-8791-bf33cf982152
 2007-11-14 17:42:18 +00:00
adjemian 0480677d66 Bug correction. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1408 ac1d8469-bf42-47a9-8791-bf33cf982152
 2007-10-03 15:44:06 +00:00
adjemian d9f56bfde9 Add the possibility to estimate a BVAR-DSGE with a dsge prior weight equal to infinity (the user just have to calibrate dsge_prior_weight to Inf). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1407 ac1d8469-bf42-47a9-8791-bf33cf982152
 2007-10-03 14:40:43 +00:00
adjemian a1c0424585 Correction of a bug related to the penalty on dsge_prior_weight. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1378 ac1d8469-bf42-47a9-8791-bf33cf982152
 2007-07-26 08:50:38 +00:00
adjemian 9549b0dd42 Correction of a bug related to info. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1377 ac1d8469-bf42-47a9-8791-bf33cf982152
 2007-07-26 08:21:54 +00:00
adjemian ac15bfa388 Added a penalty in DsgeVarLikelihood if SIGMAu (the covariance matrix of the BVAR) is not positive definite. New function to test if a matrix is pd. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1376 ac1d8469-bf42-47a9-8791-bf33cf982152
 2007-07-25 13:25:38 +00:00
adjemian 6d6174d6ae Added a penalty when the bvar-dsge prior is not proper (too small values of dsge_prior_weight). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1343 ac1d8469-bf42-47a9-8791-bf33cf982152
 2007-07-06 14:43:00 +00:00
adjemian 44093cbbb9 BVAR-DSGE with constant (not yet ready) 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1167 ac1d8469-bf42-47a9-8791-bf33cf982152
 2007-01-26 14:50:30 +00:00
adjemian 4dc01acbd6 correction of a bug related to BVAR-DSGE models. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@930 ac1d8469-bf42-47a9-8791-bf33cf982152
 2006-09-22 15:58:43 +00:00
adjemian 9e266024f8 Added : No constant for estimation of nonlinearly specified models with detrended data, BVAR-DSGE (not ready). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@911 ac1d8469-bf42-47a9-8791-bf33cf982152
 2006-09-13 12:39:23 +00:00